PSG Run-File Environment implementation, see Formal Problem Statement:

 

Problem

 

Number of instruments in the portfolio, .

Number of scenarios, .
 

The description of the problem statement for Problem is in file "Problem_ssd.txt":

 

 

Data for Problem are saved in text files:

"matrix_budget.txt" ,

"matrix_sde.txt",

"vector_th",

"vector_ub".

 

Problem was solved by program Run-File:

 

 

The solution report was saved in text file "solution_Problem_ssd.txt":
 

 

Optimal point was saved in text file "point_Problem_ssd.txt":